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Optimal reinsurance under the mean–variance premium principle to minimize the probability of ruin

  • Published:2020-05 Issue: Volume:92 Page:128-146
  • ISSN:0167-6687
  • Container-title:Insurance: Mathematics and Economics
  • language:en
  • Short-container-title:Insurance: Mathematics and Economics

Author:

Liang Xiaoqing,Liang Zhibin,Young Virginia R.

Funder

National Natural Science Foundation of China

Natural Science Foundation of Hebei Province, China

Nesbitt Professorship of Actuarial Mathematics, United States of America

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference34 articles.

1. Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting;Bai;Insurance Math. Econom.,2013

2. Optimal Control and Viscosity Solutions of Hamilton–Jacobi-Bellman Equations;Bardi,1997

3. Second-order elliptic integro-differential equations: viscosity solutions’ theory revisited;Barles;Ann. l’IHP Anal. Non linéaire,2008

4. Approximation of optimal reinsurance and dividend pay-out policies;Baüerle;Math. Finance,2004

5. Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case;Bayraktar;Proc. Amer. Math. Soc.,2012

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